It seems that the correct name for the mapping property should be “categories”.
I don’t know why now the plugin only allows me to select “category” for mapping, which is not correct. At some point in the past it was fine, though.
I worked around this by manually editing the import headers in DB (wp_options -> where option_name = ‘woocsv_headers’) so that it contains a reference to “categories” instead of “category”.
To edit the option_value field you need to use php deserialize() and serialize() back again.